How to get started building a dataset?
I have recently acquired access to Eikon through my university.
I want to do tests on historical data from Denmark specifically. Since I can only get access from a desktop computer at uni, I am thinking I should download all the data I need and then I can work with it at home - probably in Python, since I know a bit of python.
My question is how I should get started doing this? I would like to get all the data on danish stocks for at least 10 years back and then be able to sort the data for my individual tests, ie. on market cap, volume etc.
It looks like other people use excel a lot. It seems to me the easiest would be to specify what data I need in the Eikon platform and then download that as one file.
So some more questions would be:
-Should I be accessing the data through excel?
- I know CRSP is famous for avoiding survivorship bias, but can I expect some of the same from Eikon?
-If my plan is to work with the data in python, is there something I should be aware of when download the data?
I hope my questions make sense. It has been difficult to find good explanations of these things.
PS: I'm not sure if this should be in the Datastream forum or where it fits best
You can do it in Excel, you can do it in Python - as long as the data stays on your desktop :)
Are you looking for current active Danish stocks or also for stocks that are already 'dead'? I am guessing for the latter one - if you include the data of the dead ones, you will account for the survivorship bias. Also, do you have a specific list of Danish stocks (based on certain criteria) in mind or the OMX Copenhagen? Datastream would definitely work best to include the data of 'dead' series.
https://developers.thomsonreuters.com/eikon-apis/datastream-web-service/qa
Thanks for the answer!
I want to make sure what you mean by the first part - is it a license thing that the data must only be used on the machine that has access?
You are right, I am interested in avoiding survivorship bias as much as possible. Ideally, I would like to select some data and then have all returned all stocks that are or have been in existence since that given date. But maybe that's not possible? In that case, should I somehow acquire a list of stocks in existence at the beginning date? If that is the case I guess I might miss companies that had a later IPO and then delisted.
I especially want to look at small and medium cap danish stocks. But again, ideally I would like to have data on all stocks and then later filter - to enable me to analyze for instance momentum as a function of market cap.
Yep - licensing. Though I assume you need it solely for research purpose, so you seem covered. Up to you how you retrieve data.
Why I was asking - because in Datastream you can look up indices and its historical constituents. Best to use OMXC - LCOSEASH (about 134 constituents). Of that index, you can retrieve the constituents of any month by using LCOSEASH0118 (logic is LCOSEASHMMYY) for example. So, not only you can retrieve the constituents as of a particular date, but also the changes in between. Hope this helps!
Thanks again for the answer. I am moving towards an idea of how to approach this - I have an okay experience level with Excel, but none with Eikon.
It seems like a primitive way to go at it then could be checking when the list of constituents changes, something like this:
LCOSEASHMMYY-LCOSEASHMMYY
I assume it returns a list and I can then step forward the date in the first term and see when something gets delisted. Then I can call the data I need for the initial list of constituents from beginning of test period until first change. Then repeat this until next change.
I would then only need to put it together, so that each equity forms a timeseries through all the time it is listed.
But maybe there is something way simpler.
I have looked around a lot, and there are some tutorials for simple things like downloading data for one stock. But I haven't found much about setting up a proper dataset and avoiding survivorship bias etc - thus all my questions here.
You can get the list of joiners and leavers for the OMX Copenhagen Stock Exchange's All-Share Index for the last 10 years using
=TR(".OMXCPI","TR.IndexJLConstituentChangeDate;TR.IndexJLConstituentName;TR.IndexJLConstituentRIC;TR.IndexJLConstituentComName","EDate=-10Y CH=Fd")